抵押品
违约损失
违约概率
贷款
巴塞尔新资本协议
信用风险
经济
违约
价值(数学)
首都(建筑)
不良贷款
资本要求
计量经济学
精算学
业务
微观经济学
数学
财务
统计
考古
历史
激励
作者
Esa Jokivuolle,Samu Peura
标识
DOI:10.1111/1468-036x.00222
摘要
Abstract We present a model of risky debt in which collateral value is correlated with the possibility of default. The model is then used to study the expected loss given default, primarily as a function of collateral. The results obtained could prove useful for estimating losses given default in many popular models of credit risk which assume them constant. We also examine the problem of determining sufficient collateral to secure a loan to a desired extent. In addition to bank practitioners, regulators might find our analysis useful in reviewing banks’ lending standards relative to current collateral values. In particular, the current proposals for The New (Basel) Capital Accord involve options for the use of banks’ own loss given default estimates which might benefit from the analysis in this paper.
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